关于拟线性混合型边界问题的概率表示

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A Note on Probabilistic Interpretation for Quasilinear Mixed Boundary Problems

Faculty of Science and Technology, University of Macau, P. O. Box 3001, Macau;Mathematical Department, Zhongshan University, Guangzhou 510725, P. R. China

摘要: 关于某些抛物型和椭圆型偏微分方程的混合边界问题的解被表示为一类联系于Ito正向反射边界随机微分方程的反向随机微分方程的解.
- 偏微分方程 /
- 混合型边界问题 /
- 随机微分方程 /
- 概率表示
Abstract: Solutions of quasilinear mixed boundary problems for the some parabolic andelliptic partial differential equalions are interpreted as solutions of a kind of backwardstochastic differential equalions, which are associated with the classical Ito forwardstochastic differential equations with reflecting boundary conditions.
- quasilinear partial differential equations /
- mixed boundary problems /
- stochastic differential equations /
- probabilistic interpretations

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